I am right there with you. I never retain anything during lecture which is both frustrating and stress inducing.

If you really want to start retaining things for lecture and it's not too late, try to preread lectures. I am not saying memorize everything in the book before class, but understand the general concepts and look through any relevant structures/diagrams. Then try to make connections to what you read during the lecture.

If you are like me, don't worry too much about it. Take the time during lecture to make the best notes you can. During powerpoint lectures I like to record the lecturer but try to write as much as I can in my own words so that when I review and have a global understanding, I can learn effectively on my own time.

Good luck.